Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0757
Annualized Std Dev 0.2590
Annualized Sharpe (Rf=0%) 0.2925

Row

Daily Return Statistics

Close
Observations 3879.0000
NAs 1.0000
Minimum -0.1338
Quartile 1 -0.0069
Median 0.0006
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0079
Maximum 0.1071
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0163
Skewness -0.3816
Kurtosis 8.3981

Downside Risk

Close
Semi Deviation 0.0118
Gain Deviation 0.0117
Loss Deviation 0.0127
Downside Deviation (MAR=210%) 0.0162
Downside Deviation (Rf=0%) 0.0116
Downside Deviation (0%) 0.0116
Maximum Drawdown 0.6400
Historical VaR (95%) -0.0238
Historical ES (95%) -0.0388
Modified VaR (95%) -0.0254
Modified ES (95%) -0.0484
From Trough To Depth Length To Trough Recovery
2007-07-13 2009-03-09 2013-05-14 -0.6400 1463 410 1053
2018-08-23 2020-03-18 2021-02-04 -0.4894 617 394 223
2015-06-24 2016-02-11 2016-08-11 -0.1855 286 161 125
2006-05-08 2006-07-21 2006-11-15 -0.1466 135 53 82
2014-04-03 2014-10-10 2014-12-23 -0.1273 184 133 51

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA NA NA -0.5 1.7 -1.3 -0.1
2006 0.8 0.9 0.7 -0.6 1.9 0.5 -1.9 0.3 -1.2 -2 -1.2 -0.9 -2.8
2007 0.5 -0.9 0 0.2 0.7 -0.8 -0.1 0.7 1.1 -3 0.7 -1.8 -2.8
2008 1.2 -3.7 -0.1 1.8 0 -0.2 0 -1 -0.7 4.6 -11.2 4 -6
2009 -3 0 1.2 -0.6 4.7 2.2 0.3 -2.1 -3.2 -2.7 1.5 -0.7 -2.8
2010 0.8 2.2 -0.5 -2.6 -3.6 -0.9 -0.1 4 0.4 -1 2.1 -0.9 -0.2
2011 2.6 -2 0.5 0.2 -3.9 1.3 -0.6 -2.7 -1 -5 -0.6 -0.6 -11.5
2012 2 0.1 -0.1 -0.7 -2.7 3.5 -1 0.1 0.5 1.1 -0.2 1.7 4.4
2013 1 0 -1.4 -2.7 -0.4 2.1 0.8 -1.7 0.8 -0.9 0.3 0.4 -1.7
2014 -1 0.3 1.5 -0.3 -0.4 2.2 -0.9 0.7 -1.9 2.4 -1.7 -0.1 0.8
2015 -1.9 -0.4 0.1 -0.6 -0.1 0.8 0.9 -1.9 -0.1 -1.5 0.6 -1.8 -5.7
2016 -0.2 0.7 0 -1.3 0.1 0.4 0 0.1 0.5 -0.9 1 -0.5 -0.2
2017 0 2.1 0.4 0.4 1.8 -0.3 0.8 0.4 -0.1 -0.6 -0.9 -0.5 3.6
2018 0.1 0 0.8 0 0.7 -0.2 0.1 0.4 -1.2 0.9 0.2 0.4 2.2
2019 0.2 0.3 1.2 -0.1 -1.8 0.1 -1.6 -0.5 -1.9 1.6 -0.2 0.1 -2.6
2020 -2.3 -2 -7.5 -4.2 0.3 -2.8 -1.3 0.4 1.7 -1.4 1.1 0.1 -16.7
2021 2.3 4.2 1 NA NA NA NA NA NA NA NA NA 7.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2005-09-30  20.2 SPY    123.  0.0031   0.0132   0.0038   0.0294   0.0826    0.435   -0.146 GLD    46.7 -8.50e-3   0.0091
2 2005-10-03  20.3 SPY    123. -0.0036   0.0084   0.0009   0.0175   0.077     0.474   -0.139 GLD    46.4 -6.00e-3  -0.0032
3 2005-10-04  20.1 SPY    121. -0.0113  -0.0027  -0.0086   0.0146   0.0643    0.473   -0.153 GLD    46.4  6.00e-4   0.0043
4 2005-10-05  19.6 SPY    120. -0.0131  -0.0168  -0.0329  -0.0027   0.0437    0.481   -0.181 GLD    46.4 -1.90e-3  -0.0094
5 2005-10-06  19.4 SPY    119. -0.0036  -0.0282  -0.038   -0.0175   0.0507    0.506   -0.170 GLD    47.2  1.83e-2   0.0023
6 2005-10-07  19.7 SPY    120.  0.0034  -0.0279  -0.0315  -0.0191   0.0631    0.488   -0.168 GLD    47.4  3.20e-3   0.0141
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart